Replication Package for “True Liquidity and Fundamental Prices: U.S. Tick Size Pilot”

Description

This dataset contains the replication materials for the paper "True Liquidity and Fundamental Prices: Evidence from the U.S. Tick Size Pilot." The package includes MATLAB and SAS code, supporting datasets, and a README documenting every exhibit. The materials are organized in the order a reader should follow them: (i) simulation code validating the paper's variational inference (VI) methodology on data with known true prices and spreads; (ii) VI estimation code that applies the estimator to TAQ transaction data to recover latent true prices, true spreads, and related liquidity measures while accounting for price discreteness and rounding; (iii) code reproducing the paper's main-body tables (Tables 1-9), combining the MATLAB regression code, the SAS depth and cross-exchange programs, and the difference-in-means inventory analysis; and (iv) code and documentation for the Internet Appendix tables, including the trivariate (asymmetric-spread) model, summary statistics of spread and price-discovery measures, the full coefficient sets underlying the main tables, and the structural VI method. The package also includes the custom MATLAB subroutines required by the estimation procedures and the supporting datasets for both the equal-weighted and share-weighted empirical specifications. Because the underlying TAQ transaction and quote data are proprietary and cannot be redistributed, TAQ-derived inputs are provided either as perturbed panels or as single representative-stock samples; the README's dataset list marks each source accordingly. CRSP data are likewise licensed and provided only as the small event-window extract used in the analysis. Please refer to the README for detailed descriptions of the code, variables, datasets, line-number mapping of every table, and data licensing restrictions.

Institutions

• University of Houston

  Texas, Houston
• Emory University

  Georgia, Atlanta

Categories

Licence